PCEF Options History — August 2023

In August 2023, PCEF traded between $17.56 and $18.36. ATM implied volatility averaged 20.1%, placing in the 12.2% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 12.0% (HV 20d: 8.1%). Max pain ranged from $15.00 to $19.00. Net GEX was positive for 6 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 0.00.

Notable Days

2023-08-15: Highest Volume — 2 contracts
2023-08-16: Largest IV spike — 81.1% change
2023-08-01: Highest IV Rank — 33.5%
2023-08-01: Largest Expected Move — 12.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.95	$17.56	$18.36	$18.36	$17.91
Max Pain	$17.10	$15.00	$19.00	$15.00	$19.00
ATM IV	20.1%	9.3%	42.0%	42.0%	10.3%
Expected Move	5.3%	2.7%	12.1%	12.1%	2.9%
HV 20d	8.1%	7.0%	9.2%	8.7%	8.6%
HV 60d	8.3%	8.1%	8.5%	8.5%	8.3%
IV Rank	12.2%	1.7%	33.5%	33.5%	2.6%
IV Percentile	24.2%	1.2%	77.0%	77.0%	2.4%
Term Structure	-0.4%	-15.0%	16.9%	-13.5%	-1.8%
VWIV	20.5%	16.8%	24.2%	24.2%	16.8%
Skew 25d	18.2%	0.2%	31.3%	30.5%	22.2%
Skew 10d	25.7%	-0.1%	46.6%	12.9%	32.5%
Call IV 25d	10.3%	7.7%	14.8%	11.2%	10.5%
Put IV 25d	28.5%	9.2%	43.0%	41.8%	32.7%
Bid-Ask Spread %	148.46	115.47	161.18	161.18	146.59
Gamma HHI	0.47	0.26	1.00	0.47	0.54
Net GEX	-211	-776	103	103	-525
Net DEX	3.5K	-502	7.4K	-502	5.6K
Net VEX	-16	-21	-11	-20	-17
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.00	0.00	0.00	0.00	0.00
Total Volume	0.391	0	2	0	1
Total OI	16.696	15	19	15	18

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2023-08-01	$18.36	$0.00	42.0%	12.1%	8.7%	33.5%	0.0%	30.5%	-13.5%	103	-502	-20	161.18	N/A	N/A	0	0	6	9
2023-08-02	$18.21	$0.00	31.2%	8.9%	9.2%	23.0%	0.0%	22.1%	-14.4%	64	10	-21	160.51	N/A	N/A	0	0	6	9
2023-08-03	$18.11	$15.00	28.1%	8.5%	8.3%	20.0%	0.0%	18.6%	-7.0%	73	485	-17	154.56	N/A	N/A	0	0	6	9
2023-08-04	$18.13	$15.00	31.8%	8.4%	8.2%	23.5%	0.0%	26.3%	-7.2%	101	499	-18	153.93	N/A	N/A	0	0	6	9
2023-08-07	$18.21	$15.00	35.6%	5.0%	8.1%	27.3%	0.0%	14.8%	-8.7%	29	1.1K	-14	150.57	N/A	N/A	0	0	6	9
2023-08-08	$18.21	$15.00	36.3%	5.3%	8.1%	28.0%	0.0%	5.5%	-8.5%	-161	1.7K	-11	147.76	N/A	N/A	0	0	6	9
2023-08-09	$18.20	$15.00	17.4%	5.0%	7.4%	9.5%	0.0%	14.1%	-8.3%	8	1.2K	-13	150.89	N/A	N/A	0	1	6	9
2023-08-10	$18.19	$15.00	17.6%	5.1%	7.2%	9.8%	0.0%	13.5%	-8.7%	-40	2.8K	-14	149.94	N/A	N/A	0	0	6	10
2023-08-11	$18.17	$15.00	17.9%	5.1%	7.1%	10.1%	0.0%	10.6%	-9.8%	-51	2.9K	-14	149.75	N/A	N/A	0	0	6	10
2023-08-14	$18.16	$15.00	18.1%	5.2%	7.0%	10.3%	0.0%	9.8%	-9.3%	-64	2.6K	-13	150.57	N/A	N/A	0	0	6	10
2023-08-15	$18.03	$15.00	17.9%	5.1%	7.3%	10.1%	0.0%	12.2%	-10.0%	-92	3.1K	-13	150.08	N/A	N/A	2	0	6	10
2023-08-16	$17.91	$15.00	32.5%	9.3%	7.5%	24.3%	24.2%	20.4%	-15.0%	-25	2.4K	-16	141.04	N/A	N/A	0	2	6	10
2023-08-17	$17.75	$19.00	12.6%	3.6%	7.9%	4.9%	16.8%	18.8%	6.8%	-240	6.2K	-18	139.96	N/A	N/A	0	1	6	12
2023-08-18	$17.77	$19.00	12.9%	3.7%	7.9%	5.2%	0.0%	27.8%	16.7%	-319	7.4K	-20	147.38	N/A	N/A	0	2	6	13
2023-08-21	$17.59	$19.00	13.5%	3.9%	7.9%	5.8%	0.0%	30.2%	16.9%	-286	5.6K	-20	157.10	N/A	N/A	0	0	6	12
2023-08-22	$17.56	$19.00	9.3%	2.7%	7.9%	1.7%	0.0%	0.2%	-3.6%	-704	5.6K	-15	122.69	N/A	N/A	0	0	6	12
2023-08-23	$17.71	$19.00	12.2%	3.5%	8.6%	4.6%	0.0%	12.7%	11.8%	-373	5.7K	-19	156.98	N/A	N/A	0	0	6	12
2023-08-24	$17.58	$19.00	14.4%	4.1%	8.8%	6.6%	0.0%	31.3%	15.4%	-294	5.7K	-20	156.34	N/A	N/A	0	0	6	12
2023-08-25	$17.66	$19.00	13.4%	3.8%	8.3%	5.7%	0.0%	30.1%	15.6%	-323	5.7K	-19	156.41	N/A	N/A	0	0	6	12
2023-08-28	$17.68	$19.00	12.9%	3.7%	8.0%	5.2%	0.0%	21.7%	11.5%	-428	5.7K	-18	149.09	N/A	N/A	0	0	6	12
2023-08-29	$17.86	$19.00	12.0%	3.4%	9.1%	4.4%	0.0%	1.8%	10.5%	-776	4.6K	-12	115.47	N/A	N/A	0	0	6	12
2023-08-30	$17.88	$19.00	11.6%	3.3%	8.7%	3.9%	0.0%	23.5%	10.5%	-528	5.4K	-17	145.79	N/A	N/A	0	0	6	12
2023-08-31	$17.91	$19.00	10.3%	2.9%	8.6%	2.6%	0.0%	22.2%	-1.8%	-525	5.6K	-17	146.59	N/A	N/A	0	1	6	12